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Introduction to Stochastic Processes
| Credits | 4 credit points |
| Instructors | Litvak, N. (Universiteit Twente), Scheinhardt, W.R.W. (Universiteit Twente) |
| n.litvak@ewi.utwente.nl, w.r.w.scheinhardt@math.utwente.nl | |
| Aim | To provide an introduction in the basic notions of stochastic processes as applied in stochastic operations research topics like queueing theory and Markov decision processes. |
| Description | The following subjects will be treated: - Discrete time Markov chains, including classification of states and long run behaviour and branching processes. - Exponential distribution and Poisson Processes. - Generating functions and Laplace-Stieltjes transforms. - Continuous time Markov chains and birth-and-death processes. - Renewal theory, including renewal theorem, renewal reward processes and regenerative processes. |
| Organization | Intensive course. |
| Examination | The written examination will take place on September 28th 2009, 14:00-17:00h in the Buys Ballot Lab. room 513 in Utrecht. Re-exam will take place on November 17th 2009, 14:00-17:00h in Aard 008, Budapestlaan 4, Utrecht http://www.uu.nl/NL/faculteiten/betawetenschappen/contact/Pages/default.aspx |
| Literature | S.M. Ross, 'Introduction to probability models', 9th edition, Academic Press, 2007. |
| Prerequisites | Basic knowledge of probability at the level: S.M. Ross, 'Introduction to probability models', 9th edition, Academic Press, 2007 (chapters 1-3). |